期刊論文
| 學年 | 107 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2018-11-29 |
| 作品名稱 | Comparing Hedging Effectiveness of Portfolios in the Greater Chinese Stock Exchanges: Evidence from a Modified Value-at-Risk Model |
| 作品名稱（其他語言） | |
| 著者 | Chung-Chu Chuang; Yi-Hsien Wang; Tsai-Jung Yeh |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Emerging Markets Finance & Trade, 56:508–526 |
| 摘要 | The higher moments of hedged portfolio returns often influence the calculation of value-atrisk (VaR). To establish future short and long hedged portfolios, this study proposes a new modified VaR model, an expected utility maximization (EUM) subject to the modified VaR of higher moments (EUMMVaR) of stock index futures in markets in greater China. EUM-MVaR has the greatest hedging effectiveness in determining hedged portfolios, while the minimum variance (MV) model had the least hedging effectiveness; the consideration of higher moments of a hedged portfolio return is more effective than non-consideration in determining the hedging effectiveness. |
| 關鍵字 | EUM-MVaR model;hedging effectiveness;multivariate skewed t distribution;multivariate |
| 語言 | en |
| ISSN | 1558-0938 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Yi-Hsien Wang |
| 審稿制度 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117127 ) |